Clustering of financial instruments using jump tail dependence coefficient

DOI10.1007/S10260-017-0411-1MaRDI QIDQ2324271zbMATH OpenOpenAlexFDO

Authors Chen Yang, Wenjun Jiang, Jiang Wu, Xin Liu, Zhichuan Li

Publication date 11 September 2019

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-017-0411-1

zbMATH Keywords

clustering analysiscountry indexjump tail dependence coefficientLévy copula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Clustering of time series via non-parametric tail dependence estimation
• Dynamic tail dependence clustering of financial time series
• Clustering dependencies via mixtures of copulas
• Time series clustering on lower tail dependence for portfolio selection
• A double clustering algorithm for financial time series based on extreme events

Cites work

• A generalized dynamic conditional correlation model for portfolio risk evaluation
• An introduction to copulas.
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Clustering of financial time series in risky scenarios
• Clustering of time series via non-parametric tail dependence estimation
• Construction and sampling of Archimedean and nested Archimedean Lévy copulas
• Financial Modelling with Jump Processes
• Finding Groups in Data
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3942813 (Why is no real title available?)
• scientific article; zbMATH DE number 3429948 (Why is no real title available?)
• Introduction to Time Series and Forecasting
• Introductory lectures on fluctuations of Lévy processes with applications.
• Jump tail dependence in Lévy copula models
• Lévy copulas: review of recent results
• Modeling high-frequency financial data by pure jump processes
• Monte Carlo option pricing for tempered stable (CGMY) processes
• Non-parametric Estimation of Tail Dependence
• Nonparametric estimation of the lower tail dependence λ_Lin bivariate copulas
• Spatial contagion between financial markets: a copula-based approach
• The Variance Gamma Process and Option Pricing

Cited in

(5)

• Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
• Trimmed fuzzy clustering of financial time series based on dynamic time warping
• Nonparametric dependence modeling via cluster analysis: A financial contagion application
• Clustering financial data for mutual fund management
• Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables

Describes a project that uses

Uses Software

• itsmr
• clusfind

This page was built for publication: Clustering of financial instruments using jump tail dependence coefficient

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2324271)